backtests
Screened XETRA for 3-year net income growth streaks, ROE > 8%, D/E < 2.0. Result: 8.43% CAGR vs 5.04% DAX (+3.39%), Sharpe 0.374, 72% win rate, 0 cash periods. Signal works vs the local benchmark; absolute returns lower than Anglo-Saxon markets.
backtests
Screened NSE for 3-year net income growth streaks, ROE > 8%, D/E < 2.0. Result: 10.06% CAGR vs 12.06% Sensex (-1.99%). Strong absolute returns but underperforms local benchmark. 2009: +48.9% excess, 2014: +47.4% excess. 7 cash years (2000-2006), 18 invested years.
backtests
Screened LSE for 3-year net income growth streaks, ROE > 8%, D/E < 2.0. Result: 11.65% CAGR vs 1.23% FTSE 100 price index, max drawdown -19.0% (best of all 17 exchanges), 88% win rate. 2008: only -2.2% while FTSE 100 fell -22.0%. Note: FTSE 100 benchmark is price-only (no dividends).
backtests
Screened TSX for 3-year net income growth streaks, ROE > 8%, D/E < 2.0. Result: 11.75% CAGR vs 3.95% TSX Composite (+7.80%), Sharpe 0.677 (best of 17 exchanges), down capture -35.8%. 0 cash periods, 23 avg stocks, 76% win rate. 2000: +49.4% excess vs TSX.
backtests
Screened NYSE/NASDAQ/AMEX for 3-year net income growth streaks, ROE > 8%, D/E < 2.0. Result: 11.25% CAGR vs 7.85% SPY (+3.40%), Sharpe 0.516, max drawdown -25.7%, down capture 66.0%. 25 years, 0 cash periods, 27 avg stocks. Full backtest data.
backtests
We ran a 3-year net income growth streak screen on 17 exchanges over 25 years, benchmarked vs local indices. Result: UK +10.42% vs FTSE, Canada +7.80% vs TSX, US +3.40% vs SPY. India underperforms Sensex (-1.99%). Japan beats Nikkei (+3.38%). Full data for all 17 exchanges.
backtests
We tracked 30 major US corporate spinoffs (2011-2024) at six time horizons. The forced-selling effect is real and statistically confirmed at T+5 (-3.5%, p<0.05). The long-run recovery is positive but driven by outliers — GEV +108%, REZI -68%. Full data and SQL included.
backtests
Japan's sector momentum strategy returned -11.9% in 2008 while SPY fell -34.31%, a +22.4% relative gap in the worst year of the century. Then 2013 delivered +55.37% on Abenomics stimulus. Over 26 years: 11.26% CAGR, +3.24% excess vs S&P 500, Sharpe 0.605, and 54.68% down capture. Real Estate...
backtests
Germany produced the best sector momentum results of any European market in our 14-exchange study. 13.07% CAGR over 26 years, +5.05% excess vs S&P 500, Sharpe 0.620, and 55.30% down capture. The defining structural pattern: Technology and Real Estate each appeared in exactly 30 of 104 quarterly...
backtests
Canada delivered the third-best excess return in our 14-exchange sector momentum study: +10.23% annually over 26 years, driven by Basic Materials (39q) and Energy (37q) occupying the top-two positions for half the study. $10K grew to $781,030 CAD. The 2000-2002 dotcom bust: three straight wins...
backtests
India produced the highest CAGR of any exchange in our 14-market sector momentum study: 26.95% annually over 26 years, +18.93% excess vs S&P 500, and 185.72% up capture. From $10,000 to ~$4.9M in INR-denominated terms. The max drawdown is severe at -63.87%, but the 26-year compound speaks for...
backtests
We ran a low-debt + Piotroski F-Score screen on 13 exchanges over 25 years. India leads at 14.05% CAGR with -2.02% down capture. Canada is the biggest surprise. Switzerland has the best Sharpe. Here''s the full global breakdown.